Ahh, interesting.......
I'm not using 2003 (but struggling with this darned ribbon thing!). If I select 'Include Chapter Number' it tells me there is no chapter number and that I have to select a multilevel list and do something with paragraph styles. I remember having this problem with earlier versions too. It seems like you have to put a lot of work into structuring your document properly to get this style of page numbering in this way. Just spent a couple of minutes fiddling to see if I could make it work but no joy.
boofhead, let us know how you get on. Maybe I just set up Word in a way that makes life difficult for myself!